Tag Archives: Volatility

The Essence of VIX: What You Really Need to Know

What is the essence of VIX? This may seem like an abstract, philosophical question, but I can assure you it is not. It is a practical one, and if you can understand what makes VIX unique, you will know why this index matters so much. Informed investors know that VIX: Employs a wide range of options […]

33 Speakers at RMC Cover Skew, Vol of Vol, Options-Based Funds, etc.

At the 31st Annual CBOE Risk Management Conference (RMC) on March 4 – 6, 2015 in California, thirty-three expert speakers (see list below) spoke on a variety of subjects, including skew, volatility of volatility, and a new 2015 study with the first-ever list of publicly available list 119 Options-Based Funds. Speakers noted that Extended Trading […]

OVX (Oil VIX) Rose Record 119%, GVZ (Gold VIX) Up 96% in Past 3 Months – By Matt Moran

Over the past three calendar months (September through November) — The CBOE Crude Oil ETF Volatility Index (OVX) rose 119%, the highest percentage rise for OVX over three calendar months since the inception of OVX price history in 2007. The OVX Index is a measure of the market’s expected future volatility of the United States […]

Futures on Interest Rate Volatility Index (VXTYN) To Launch on Nov. 13 – By Matt Moran

Nov. 6, 2014 – A CBOE Holdings press release today noted that CBOE Futures Exchange (CFE) will launch futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) on Thursday, November 13. Futures on the VXTYN Index offer customers a way to hedge pure interest rate volatility risk based on U.S. government debt […]

Why is the VIX so high?

No, our crack proofreading team didn’t muff the headline.  After several weeks of seemingly unanimous commentary about how investor complacency has resulted in VIX® levels that are “too low,” we want to ask the contrarian question.  Rather than being too low, why is the VIX so high? The question is germane because there has been […]

PUT Index Rose 1510% (with Lower Volatility) Over 28 Years — By Matt Moran

A 2013 paper by BlackRock on “VIX Your Portfolio – Selling Volatility to Improve Performance” noted that – “A strategy that systematically sells volatility on a diversified equity index should capture a positive risk premium over long horizons because it is similar to selling insurance.” One of the strategies highlighted by the paper was the […]

CBOE SKEW Index Rose to 143.26, Its Highest Level Since 1998 – By Matt Moran

The median of the daily closing values of the CBOE Volatility Index® (VIX®) so far this year has been 13.7, which is below the long-term median value of 18.3 for the VIX since 1990. The fact that the VIX lately has been below its long-term median has led some people to ask whether there now […]

VIX Futures Now Round-the-Clock, as ETH Volume Tops 1.68 Million Y-T-D — By Matt Moran

Futures on the CBOE Volatility Index® (VIX®) now are available nearly 24 hours a day, five days a week (see below for more details). Trading volume for VIX futures during Extended Trading Hours (ETH) has topped 1.68 million contracts so far in 2014. The charts below show key daily values in 2014 that you could […]

SPX Historic Volatility Falls To 6.89, Its Lowest Level Since Jan. 2011 – By Matt Moran

JUNE 23, 2014 – Today the 30-day historic volatility of the S&P 500® (SPX) Index fell to 6.89, its lowest level since January 2011, according to Bloomberg calculations. Chris Dietrierich of the Wall Street Journal wrote – “… The Dow Jones Industrial Average has gone 32 months without a 10% decline, the fifth-longest run on […]

Is the VIX “Low”? SPX Historic Volatility Plunges to 7.88 – By Matt Moran

FRIDAY, MAY 30, 2014 – Lately I have heard inquiries from some stock investors as to whether the CBOE Volatility Index® (VIX®) recently has been at “low” levels; today it closed at 11.40. VIX is a reflection of the market’s expectations regarding future stock market volatility. To gain insights as to what expected volatility could […]

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